Yo Rickshaw, Overnight, Relentless, et al. - SPY all time versus over night

nitrene · May 27, 2021

Saltynuts said:
If you had put $100 in SPY and just let it run, a starting $100 account would have grown to $1630.80, a 10.32% IRR. Max drawdown was 55.19%.

If you had done 50/50, a starting $100 account would have grown to $1670.81, a 10.42% IRR. Max drawdown was 35.14%.

And if you had used 100% of your account to buy SPY at each close, and sell at each open, your $100 account would have grown to $1699.61, a 10.51% IRR. Max drawdown was only 32.79%. That's right - this is not even holding the SPY at ALL during any day sessions, only buying at the very end and selling at the very beginning. And you indeed come out ahead this way - both more earnings, but, more importantly, a good bit less drawdown.

Do these findings mean that intraday only (scenario 3 - scenario 1) is only worth 59% over 28 years? That's interesting as well. So overnight only in a tax deferred account this strategy looks good.

Nine_Ender · May 27, 2021

nitrene said:
Do these findings mean that intraday only (scenario 3 - scenario 1) is only worth 59% over 28 years? That's interesting as well. So overnight only in a tax deferred account this strategy looks good.

Rickshaw posted some similar info in the past his basic thesis isn't bad.

atxnfo · May 27, 2021

Thanks- that was a long ass thread- from 2005 until now!

I might paper trade this strategy but include SSO and UPRO (2x-3x).

Overnight · May 27, 2021

Saltynuts said:
...

So, Overnight, Relentless, you guys don't have to listen to me. But when a dark, shadowy figure, hidden in the shadows of a ricksaw, whispers out to you on some cold, rainy day, "So easy once again making free overnight money. Don't waste your time trying to scratch out meager gains during the U.S. session. Just buy the cash close get some sleep and wake up to profits. The range will continue to dry up during the U.S. day session.".... you should motherfukin' LISTEN...

Rick's thesis is not on the SPY. It is on the ES/NQ futures (mostly NQ). Try again, and to make it easier, just start from 2015. But do not forget to apply all performance bond changes during the time period. Good luck.

tiddlywinks · May 27, 2021

Overnight said:
But do not forget to apply all performance bond changes during the time period.

The amount of performance bond does not affect the tick value of a contract, and means absolutely nothing for calculating simple buy/sell or sell/buy profit/loss.

Saltynuts · May 27, 2021

Overnight said:
Rick's thesis is not on the SPY. It is on the ES/NQ futures (mostly NQ). Try again, and to make it easier, just start from 2015. But do not forget to apply all performance bond changes during the time period. Good luck.

It looks like finance.yahoo.com has "NQ" data (they actually call it NQ=F when you type NQ in the symbol bar) going back to September 16, 2000. I can easily run the same analysis there. Does that work? If you are talking about some NQ futures data that I can't get into excel I can't run the numbers, excel is how I run all my numbers.

Performance bond changes wtf???

Overnight · May 27, 2021

tiddlywinks said:
The amount of performance bond does not affect the tick value of a contract, and means absolutely nothing for calculating simple buy/sell or sell/buy profit/loss.

It does because you have to include that in drawdown. TIME affects the tick value of the contract. In 1993 the ES was most likely more than $50 per point.

Overnight · May 27, 2021

Saltynuts said:
...

Performance bond changes wtf???

K, you do not understand futures then. NVM.

Saltynuts · May 27, 2021

Overnight said:
K, you do not understand futures then. NVM.

I don't apparently lol. So I'll model what I put in my last post, probably tonight, and post results.

tiddlywinks · May 27, 2021

Overnight said:
It does because you have to include that in drawdown. TIME affects the tick value of the contract. In 1993 the ES was most likely more than $50 per point.

Geezus... you have a knack for over-complicating even the simplest shit!!

First, the analysis he did is session close to next session open.

Secondly, there is no "time" affect with futures that affects the tick value of a contract. The tick value of a contract is fixed! It is the same value on the last day of trading as it was on the day the contract was first listed.

All he needs to do is Buy or sell 1 share or 1 contract. From there he can normalize and tell you percentage profit and loss based on account value. He can use any number to represent 100% account blowup... but I believe 11K is the current exchange margin on ES.

And it is the SP that is the mother of the ES... don't be a smart ass!